Fair Value Measurements

12 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 9 - Fair Value Measurements

Fair value is defined as the price that would be received for sale of an asset or paid for transfer of a liability, in an orderly transaction between market participants at the measurement date. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). These tiers include:

● Level 1, defined as observable inputs such as quoted prices (unadjusted) for identical instruments in active markets;

● Level 2, defined as inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and

● Level 3, defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at December 31, 2021 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

	December 31,		Quoted  Prices In  Active  Markets		Significant  Other  Observable  Inputs		Significant Other Unobservable  Inputs
	2021		(Level 1)		(Level 2)		(Level 3)
Description
Assets:
U.S. Money Market Funds held in Trust Account	$	345,075,817	$	345,075,817	$	-	$	-
Liabilities:
Warrant liabilities - public warrants	$	7,244,989	$	7,244,989	$	-	$	-
Warrant liabilities - private warrants		15,189,332		-		-		15,189,332
Total	$	22,434,321	$	7,244,989	$	-	$	15,189,332

The Company utilized a Monte Carlo simulation model for the initial valuation of the Public Warrants. The subsequent measurement of the Public Warrants as of December 31, 2021, is classified as Level 1 due to the use of an observable market quote in an active market.

The Company utilizes a Modified Black-Scholes model to value the Private Placement Warrants at each reporting period, with changes in fair value recognized in the statement of operations. The estimated fair value of the Private Placement Warrant liability is determined using Level 3 inputs. Inherent in a binomial options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its common stock based on historical volatility that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero.

The aforementioned warrant liabilities are not subject to qualified hedge accounting.

There were no transfers between Levels 1, 2 or 3 during the quarter ended December 31, 2021, other than the transfer of Public warrants liabilities from Level 3 to Level 1.

The following table provides quantitative information regarding Level 3 fair value measurements:

	At  March 15,  2021  (Initial Measurement)			At  December 31,  2021
Stock price	$	9.53		$	9.85
Strike price	$	11.50		$	11.50
Term (in years)		5.5			5.4
Volatility		25.0	%		35.0	%
Risk-free rate		1.1	%		1.3	%
Dividend yield		0.0	%		0.0	%

The following table provides a reconciliation of changes in fair value of the beginning and ending balances for the liabilities classified as Level 3:

	Private Placement Warrants		Public Warrants			Warrant Liabilities
Fair value of Level 3 warrants at December 31, 2020	$	—	$	—		$	—
Initial fair value as of March 15, 2021		9,255,999		14,950,000			24,205,999
Change in valuation inputs or other assumptions		5,933,333		(7,705,011	)		(1,771.678	)
Transfer to Level 1		—		(7,244,989	)		(7,244,989	)
Fair value of Level 3 warrants at December 31, 2021	$	15,189,332	$	—		$	15,189,332

The following table presents the changes in the fair value of warrant liabilities:

	Public  Warrants			Private  Placement  Warrants		Total Warrant  Liabilities
Fair value as of December 31, 2020	$	-		$	-	$	-
Initial measurement on March 15, 2021		14,950,000			9,255,999		24,205,999
Change in valuation inputs or other assumptions		(7,705,011	)		5,933,333		(1,771,678	)
Fair value as of December 31, 2021	$	7,244,989		$	15,189,332	$	22,434,321